Enhanced portfolio performance using a momentum approach to annual rebalancing

Artikel

After diversification, periodic portfolio rebalancing has become one of the most widely practiced methods for reducing portfolio risk and enhancing returns. Most of the rebalancing strategies found in the literature are generally regarded as contrarian approaches to rebalancing. A recent article proposed a rebalancing approach that incorporates a momentum approach to rebalancing. The momentum approach had a better risk adjusted return than either the traditional approach or a Buy-and-Hold approach. This article identifies an improvement to the momentum approach and then examines the impact of transactions costs and taxes on the portfolio performance of four active rebalancing approaches.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-9 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: rebalancing ; momentum ; portfolio performance ; asset allocation

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mattei, Michael D.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2018

Further information

• DOI: doi:10.3390/ijfs6010015
• Handle: http://hdl.handle.net/10419/195681
• Last update: 10.03.2025, 11:41 AM CET